118 citations · 174 across the 10 of their papers we have counts for
4 papers · 1 filter
Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium
Ying Hu, Hanqing Jin, Xun Yu Zhou
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and suffic…
Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
Hanqing Jin, Yimin Yang
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by find…
A Convex Stochastic Optimization Problem Arising from Portfolio Selection
Hanqing Jin, Zuo Quan Xu, Xun Yu Zhou
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms…
Behavioral Portfolio Selection in Continuous Time
Hanqing Jin, Xunyu Zhou
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utili…